I have been learning French last 6 days and I can feel that my French is improving. Yet, I am more comfortable to speak either in German, Italian or in English.
Luxembourg has 3 national official languages, Luxembourgish (German origin direct), French and German. Interesting thing is that Portugese is SORT OF SEMI official language in Luxembourg. It is because of their history of immigration originated back in '60s. Currently about 13% of Luxembourg population is consisted by Portuguese.
Next biggest foreign population is probably Italians... This is why we have very many delicious italian restaurants!

As I do not like speaking in French, I often use my basic level German. But it helps me a lot to communicate nicely with local Luxembourgers! I often find funny impression from those who only speak French.... "Ah, another poor Asian". Well, as they only speak one language, it is obvious that they are not well educated (or they are not from Luxembourg) and they have no clue about where I am from! (Note: most of Luxembourgese can speak French, English & Luxembourge"sh"-German) Similar thing happens everywhere... so I just let them think whatever they want.

Anyway, if you are wondering which language you should learn while you are here...
Yes, you should still learn French as it is one of widely used languages.

By the way, I called Orange Luxembourg customer service centre in this morning since my iPhone4 had a problem, "Cannot activate cellular data network". The lady who picked up my phone said to me first thing "oh, I do not speak English. Do you speak another language?" Funny, I pressed number "3" to speak someone in English... but they connected me with someone who DOES NOT speak English... I was disappointed. As she was neither a native German speaker, the communication ended disaster :(
Then I wrote a help message by e-mail to Orange Luxembourg... almost 6 hours later (as soon as I stepped in an Orange shop in the city centre), a nice gentle man called me in good English and fixed my problem!!! Thank you!

It is always nice to have language challenge! I love it :)